Working Papers

When do State-Dependent local projections work?

Many empirical studies estimate impulse response functions that depend on the state of the economy. Most of these studies rely on a variant of the local projection (LP) approach to estimate the state-dependent impulse response functions. Despite its …

Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections

We incorporate low-frequency information from demographic variables into a simple predictive model to forecast stock valuations and returns using demographic projections. The demographics appear to be an important determinant of stock valuations, …

Oil Price Volatility, Endogenous Regime Switching and Macroeconomic Factors

We study the evolution WTI returns using a novel approach proposed by Chang, Choi and Park (2017). That is, instead of modeling the process that governs the switching between volatility regimes as exogenous, switching depends on whether the …

Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-to-Noise

This paper studies inference in cointegrating regessions and vector error correction (VEC) models when the cointegrating errors are a nearly integrated process with a low signal-to-noise-ratio. This combination of persistent, yet low variance error …

Impulse response analysis for structural dynamic models with nonlinear regressors

We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors. We derive the closed-form solution for the population impulse responses to a given shock and propose a …